Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach

Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach

Abstract This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk Financ Manag 13(4):84, 2020). The results suggest t...

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Bibliographic Details
Main Authors: Juncal Cunado, David Gabauer, Rangan Gupta
Format: Article
Language:English
Published: SpringerOpen 2024-01-01
Series:Financial Innovation
Subjects:
Realized volatilities
Energy market
Metal market
TVP-VAR
Dynamic connectedness
Online Access:https://doi.org/10.1186/s40854-023-00554-7

Internet

https://doi.org/10.1186/s40854-023-00554-7

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